Stock Volatility, Institutional Ownership and Analyst Coverage
Bankers Markets & Investors, Forthcoming
31 Pages Posted: 5 Jan 2011
Date Written: January 5, 2011
We examine the relation between stock volatility and asymmetric information empirically. We use two proxies of information asymmetry: institutional ownership and analyst coverage. We find that firms covered by more analysts are more likely to have less volatile returns. A significant and positive bilateral relationship between stock volatility and institutional block holdings is observed supporting possible herding behaviours of institutional investors.
Keywords: institutional investors, stock volatility, asymmetric information, analyst coverage
JEL Classification: G14, G11, G32
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